This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2–2011:12, ...

In this paper, we investigate the dynamic relationship between different oil price shocks and the South African stock market using a sign restriction structural vector autoregression (VAR) approach for the period 1973:01 ...

This paper assesses the impact of a monetary policy shock on 15 key macroeconomic variables of South Africa, in the pre- and post-inflation targeting periods. For this purpose, we use a Factor-Augmented Vector Autoregressive ...

We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample ...

In this paper, we examine the predictive ability, both in-sample and the out-of-sample, for South African stock returns using a number of financial variables, based on monthly data with an in-sample period covering 1990:01 ...

Using monthly South African data for 1990:01-2009:10, this paper, to the best of our knowledge, is the first to examine the predictability of real stock prices based on valuation ratios, namely, price-dividend and ...